A particle approximation of the solution of the Kushner–Stratonovitch equation

We construct a sequence of branching particle systems α _n convergent in measure to the solution of the Kushner–Stratonovitch equation. The algorithm based on this result can be used to solve numerically the filtering problem. We prove that the rate of convergence of the algorithm is of order n ^?. This paper is the third in a sequence, and represents the most efficient algorithm we have identified so far. Received: 4 February 1997 / Revised version: 26 October 1998     

Convergence of Weighted Empirical Measures

This article considers a system with infinitely many interacting particles, starting with a system of n interacting particles that is described by a system of n stochastic differential equations for the time-varying locations and weights. Any particle in the system interacts with others through the weighted empirical measure Uⁿ formed by the sum of weighted Dirac measures on the n particles. Weak convergence of the weighted empirical measure is studied under suitable conditions, such as bounded initial values, and linear growth of drift and diffusion coefficients. Thereafter, the limit of the weighted empirical measures is identified to be a martingale solution of the infinite interacting system.     

Empirical multifractal moment measures of self-similar measure for q < 0*

For q ≥ 0, Olsen [1] has attained the exact rate of convergence of the L ^q -spectrum of a self-similar measure and showed that the so-called empirical multifractal moment measures converges weakly to the normalized multifractal measures. Unfortunately, nothing is known for q < 0. Indeed, the problem of analysing the L ^q - spectrum for q < 0 is generally considered significantly more difficult since the L ^q -spectrum is extremely sensitive to small variations of μ for q < 0. In [2] we showed that self-similar measures satisfying the Open Set Condition (OSC) are Ahlfors regular and, using this fact, we obtained the exact rate of convergence of the L ^q -spectrum of a self-similar measure satisfying the OSC for q < 0. In this paper, we apply the results from [2] to show the empirical multifractal q’th moment measures of self-similar measures satisfying the OSC converges weakly to the normalized multifractal Hausdorff measures for q < 0.     

Empirical multifractal moment measures of self-similar measure for <Emphasis Type="Italic">q</Emphasis> < 0<Superscript>*</Superscript>

For q ≥ 0, Olsen [1] has attained the exact rate of convergence of the L ^q -spectrum of a self-similar measure and showed that the so-called empirical multifractal moment measures converges weakly to the normalized multifractal measures. Unfortunately, nothing is known for q < 0. Indeed, the problem of analysing the L ^q - spectrum for q < 0 is generally considered significantly more difficult since the L ^q -spectrum is extremely sensitive to small variations of μ for q < 0. In [2] we showed that self-similar measures satisfying the Open Set Condition (OSC) are Ahlfors regular and, using this fact, we obtained the exact rate of convergence of the L ^q -spectrum of a self-similar measure satisfying the OSC for q < 0. In this paper, we apply the results from [2] to show the empirical multifractal q’th moment measures of self-similar measures satisfying the OSC converges weakly to the normalized multifractal Hausdorff measures for q < 0. Authors’ addresses: Jiaqing Xiao, School of Science, Wuhan University of Technology, Wuhan 430070, China; Wu Min, School of Mathematical Sciences, South China University of Technology, Guangzhou, 510640, China     

Gauss-Hermite quadratures for functions from Hilbert spaces with Gaussian reproducing kernels

We study univariate integration with the Gaussian weight for a positive variance α. This is done for the reproducing kernel Hilbert space with the Gaussian kernel for a positive shape parameter γ. We study Gauss-Hermite quadratures, although this choice of quadratures may be questionable since polynomials do not belong to this space of functions. Nevertheless, we provide the explicit formula for the error of the Gauss-Hermite quadrature using n function values. In particular, for 2αγ ²<1 we have an exponential rate of convergence, and for 2αγ ²=1 we have no convergence, whereas for 2αγ ²>1 we have an exponential divergence.     

Weighted endpoint estimates for commutators of fractional integrals

Given α, 0 < α < n, and b ∈ BMO, we give sufficient conditions on weights for the commutator of the fractional integral operator, [b, I _α ], to satisfy weighted endpoint inequalities on ℝⁿ and on bounded domains. These results extend our earlier work [3], where we considered unweighted inequalities on ℝⁿ.     

Penultimate limiting forms in extreme value theory

Summary Let {X _n}_n≧1 be a sequence of independent, identically distributed random variables. If the distribution function (d.f.) ofM _n=max (X ₁,…,X _n), suitably normalized with attraction coefficients {α_n}_n≧1(α_n>0) and {b _n}_n≧1, converges to a non-degenerate d.f.G(x), asn→∞, it is of interest to study the rate of convergence to that limit law and if the convergence is slow, to find other d.f.'s which better approximate the d.f. of(M _n−b_n)/a_n thanG(x), for moderaten. We thus consider differences of the formF ⁿ(a_nx+b_n)−G(x), whereG(x) is a type I d.f. of largest values, i.e.,G(x)≡Λ(x)=exp (-exp(−x)), and show that for a broad class of d.f.'sF in the domain of attraction of Λ, there is a penultimate form of approximation which is a type II [Ф _α(x)=exp (−x^−α), x>0] or a type III [Ψ _α(x)= exp (−(−x)^α), x<0] d.f. of largest values, much closer toF ⁿ(a_nx+b_n) than the ultimate itself.     

Several New Third-Order Iterative Methods for Solving Nonlinear Equations

In this paper, we present some new third-order iterative methods for finding a simple root α of nonlinear scalar equation f(x)=0 in R. A geometric approach based on the circle of curvature is used to construct the new methods. Analysis of convergence shows that the new methods have third-order convergence, that is, the sequence {x _n }₀^∞ generated by each of the presented methods converges to α with the order of convergence three. The efficiency of the methods are tested on several numerical examples. It is observed that our methods can compete with Newton’s method and the classical third-order methods.     

Toeplitz operators with BMO symbols on the weighted Bergman space of the unit ball

In this paper we prove that the boundedness and compactness of Toeplitz operator with a BMO _α ¹ symbol on the weighted Bergman space A _α ²(B _n ) of the unit ball is completely determined by the behavior of its Berezin transform, where α > −1 and n ≥ 1.     

Projection–difference method for controlled Fourier filtering

A projection–difference method is developed for approximating controlled Fourier filtering for quasilinear parabolic functional-differential equations. The method relies on a projection–difference scheme (PDS) for the approximation of the differential problem and derives a O(τ^1/2 + h) bound on the rate of convergence of PDS in the weighted energy norm without prior assumptions of additional smoothness of the generalized solutions. The PDS leads to a natural approximation of the objective functional in the optimal Fourier filtering problem. A bound of the same order is obtained for the rate of convergence in the functional of the problems approximating the Fourier filter control problem.     

ON LAGRANGE INTERPOLATION TO ｜x｜^α（1 〈α 〈 2） WITH EQUALLY SPACED NODES

S.M. Lozinskii proved the exact convergence rate at the zero of Lagrange interpolation polynomials to |x| based on equidistant nodes in [−1,1], In 2000, M. Rever generalized S.M. Lozinskii’s result to |x|^α(0≤α≤1). In this paper we will present the exact rate of convergence at the point zero for the interpolants of |x|^α(1<α<2).     

Weighted Composition Operators of H∞ into α-Bloch Spaces on the Unit Ball

In this paper we characterize the boundedness and compactness of weighted composition operators of H∞ into α-Bloch spaces on the unit ball in C^n.     

Scale limit of a variational inequality modeling diffusive flux in a domain with small holes and strong adsorption in case of a critical scaling

In this paper we study the asymptotic behavior of solutions u _ɛ of the elliptic variational inequality for the Laplace operator in domains periodically perforated by balls with radius of size C ₀ɛ_α, C ₀ > 0, α = n/n−2, and distributed with period ɛ. On the boundary of balls, we have the following nonlinear restrictions u _ɛ ≥ 0, ∂_ν u _ɛ ≥ −ɛ^−ασ(x, u _ɛ), u _ɛ(∂_ν u _ɛ + ɛ^−ασ(x, u _ɛ)) = 0. The weak convergence of the solutions u _ɛ to the solution of an effective variational equality is proved. In this case, the effective equation contains a nonlinear term which has to be determined as solution of a functional equation. Furthermore, a corrector result with respect to the energy norm is given.     

Asymptotic behavior of nonexpansive mappings in normed linear spaces

LetT be a nonexpansive mapping on a normed linear spaceX. We show that there exists a linear functional.f, ‖f‖=1, such that, for allx∈X, lim_n→x f(T ⁿ x/n)=lim_n→x‖T ⁿ x/n ‖=α, where α≡inf _y∈c ‖Ty-y‖. This means, ifX is reflexive, that there is a faceF of the ball of radius α to whichT ⁿ x/n converges weakly for allx (inf_z∈f g(T ⁿ x/n-z)→0, for every linear functionalg); ifX is strictly conves as well as reflexive, the convergence is to a point; and ifX satisfies the stronger condition that its dual has Fréchet differentiable norm then the convergence is strong. Furthermore, we show that each of the foregoing conditions on X is satisfied if and only if the associated convergence property holds for all nonexpansiveT. Supported by National Science Foundation Grant MCS-79-066.     

Consistency of change point estimators for symmetrical stable distribution with parameters shift

Assume that the characteristic indexαof stable distribution satisfies 1<α<2,and that the distribution is symmetrical about its mean.We consider the change point estimators for stable distribution withαor scale parameterβshift.For the one case that mean is a known constant,ifαorβchanges,then density function will change too.To this end,we suppose the kernel estimation for a change point.For the other case that mean is an unknown constant,we suppose to apply empirical characteristic function to estimate the change-point location.In the two cases,we consider the consistency and strong convergence rate of estimators.Furthermore,we consider the mean shift case.If mean changes,then corresponding characteristic function will change too.To this end,we also apply empirical characteristic function to estimate change point.We obtain the similar convergence rate.Finally,we consider its application on the detection of mean shift in financial market.     

Classical operators on BLOCH spaces

Let \mathbbD \mathbb{D} ⁿ denote the unit polydisk and let B _n denote the unit ball in \mathbbC \mathbb{C} ⁿ , n ≥1. We study weighted composition operators on the α-Bloch spaces B^a {\mathcal{B}^\alpha } ( \mathbbD \mathbb{D} ⁿ ), α > 1. We also study Cesàro type operators on the α-Bloch spaces B^a {\mathcal{B}^\alpha } (B _n ), α > 0. Bibliography: 15 titles.     

Weakly n-hyponormal Weighted Shifts and Their Examples

The gap between hyponormal and subnormal Hilbert space operators can be studied using the intermediate classes of weakly n-hyponormal and (strongly) n-hyponormal operators. The main examples for these various classes, particularly to distinguish them, have been the weighted shifts. In this paper we first obtain a characterization for a weakly n-hyponormal weighted shift W_α with weight sequence α, from which we extend some known results for quadratically hyponormal (i.e., weakly 2-hyponormal) weighted shifts to weakly n-hyponormal weighted shifts. In addition, we discuss some new examples for weakly n-hyponormal weighted shifts; one illustrates the differences among the classes of 2-hyponormal, quadratically hyponormal, and positively quadratically hyponormal operators.     

Discrete time Galerkin approximations to the nonlinear filtering solution

This paper concerns discrete time Galerkin approximations to the solution of the filtering problem for diffusions. Two families of schemes approximating the unnormalized conditional density, respectively, in an “average” and in a “pathwise” sense, are presented. L² error estimates are derived and it is shown that the rate of convergence is linear in the time increment or linear in the modulus of continuity of the sample path.     

Rates of uniform convergence for empirical processes of strictly stationary β-mixing sequences indexed by an unbounded class of functions

Assume that {Xn} is a strictly stationary β-mixing random sequence with the β-mixing coefficient βk = O(k-r), 0 < r ≤1. Yu (1994) obtained convergence rates of empirical processes of strictly stationary β-mixing random sequence indexed by bounded classes of functions. Here, a new truncation method is proposed and used to study the convergence for empirical processes of strictly stationary β-mixing sequences indexed by an unbounded class of functions. The research results show that if the envelope of the index class of functions is in Lp, p > 2 or p > 4, uniform convergence rates of empirical processes of strictly stationary β-mixing random sequence over the index classes can reach O((nr/(l+r)/logn)-1/2) or O((nr/(1+r)/ log n)-3/4) and that the Central Limit Theorem does not always hold for the empirical processes.``     

A general law of precise asymptotics for products of sums under dependence

Let {Xn,n ≥ 1} be a strictly stationary LNQD （LPQD） sequence of positive random variables with EX1 = μ 〉 0, and VarX1 = σ^2 〈 ∞. Denote by Sn = ∑i=1^n Xi and γ = σ/μ the coefficients of variation. In this paper, under some suitable conditions, we show that a general law of precise asymptotics for products of sums holds. It can describe the relations among the boundary function, weighted function, convergence rate and limit value in the study of complete convergence.